A lifetime allocation with human capital: implications for target date fund

Seokkeun Ha and Frank J. Fabozzi ()
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Seokkeun Ha: EDHEC Business School-Nice Campus
Frank J. Fabozzi: EDHEC Business School-Nice Campus

Journal of Asset Management, 2022, vol. 23, issue 5, No 1, 365-375

Abstract: Abstract In this paper, we propose a new target date fund that incorporates human capital. The proposed glide path for the target date fund is based on the capital asset pricing model in a way such that the asset allocation of the target date fund with human capital is matched with that of the global market portfolio with human capital. This new target date fund provides a customized retirement solution satisfying different human capital risk profiles.

Keywords: Target date fund; Capital asset pricing model; Human capital; Global human capital portfolio; Glide path (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1057/s41260-022-00278-w

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